Currently I'm creating a small cube which will house a small LED or bulb. There is a small cut-out which will let the light escape, which will be covered by a thin piece of film (http://i28.tinypic.com/34dpues.jpg) - it's a little soppy but what the hell!

My question is: Do the materials have varying levels of translucency? The last thing I want is for all the light to escape out of the material!

If worst comes to worst, is there anything I could line my housing with?

Depending on your application, either will suffice. Albeit, I'd steer you towards painting it all as WSF has a very permeable surface and might let some paint bleed through if not sufficiently thick enough.